COT: Greenback remains exposed to long liquidation
Head of Commodity Strategy
Summary: A reduction in bullish dollar bets was seen in the week to November 13 with USD remaining exposed to long liquidation.
Saxo Bank publishes two weekly Commitment of Traders reports (COT) covering leveraged fund positions in commodities, bonds and stock index futures. For IMM currency futures and the VIX, we use the broader measure called non-commercial.
To download your copy of the Commitment of Traders: Forex report for the week ending November 13, click here.
To download your copy of the Commitment of Traders: Financials report for the week ending November 13, click here.
IMM currency futures
Speculators reduced bullish dollar bets against nine IMM currency futures by $1.9 billion to $28bn. This despite seeing the dollar index reach a 17-month high as the euro temporarily dropped below €1.13 and Brexit jitters once again hit sterling. Dollar long positions were pared against most with the exception being the 15% increase in the yen net-short.
The greenback remains exposed to long-liquidation with speculative traders holding short positions in seven IMM currencies with the exception being small longs in the Mexican peso and the Russian ruble.
In fixed income, leveraged funds were sellers and asset managers buyers across the whole yield curve. This was particularly the case in Ultra T-Bonds where leveraged funds increased the net-short by 9% to a fresh record of 481,000 lots. The DV01, which measures the dollar value of a one basis point move in yield, jumped by $14 million to $271.5m, a new record.
Expanding the focus from leverage traders, we can see how the total futures open interest across the US yield curve is broken down into the different categories defined by the CFTC.
This shows how for months now, continued selling by leveraged traders or speculators (as they are often referred to) has been absorbed by asset managers or real money investors. They can not both be right, and given their often short- versus long-term, focus the risk seems skewed to the upside – i.e. towards lower yields.
Quarterly Outlook Q2 2022
Quarterly Outlook Q2 2022: The End Game has arrived
- Shocks from covid and the war in Ukraine have forced the global financial and political world to change, but what will the end game be?
Productivity and innovation have never been more importantAs the world economy hits physical limits and central banks tighten their belts, could equities be facing a 10-15% downside?
The great EUR recovery and the difficulty of trading itIf the terrible fog of war hopefully lifts soon, the conditions are promising for the euro to reprice significantly higher.
Tight commodity markets – turbocharged by war and sanctionsWith supply already tight, commodities keep powering on. But will it last for yet another quarter?
Between a rock and a hard placeGeopolitical concerns will add upward price pressures and fears of slower growth, while volatility will remain elevated.
The Great ErosionInflation is everywhere and central banks try to combat it. But will they get it under control in time?
Australian investing: Six considerations amid triple Rs: rising rates, record inflation and likely recessionWhile global financial markets are struggling in an uncertain world, the commodity-heavy Australian ASX index is poised to keep a positive momentum.
Cybersecurity – the rush to catch up with realityWith the invasion of Ukraine, governments and private companies are rushing to reinforce their cyber defenses.